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Solving models with external habit
16 references·16 citing·35 second hopsampled
Solving models with external habit (2005)Solving models with external habitWhy Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Why Is Long‐Horizon Equity Le…Rational IPO Waves (2005)Rational IPO WavesA consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …Understanding Predictability (2004)Understanding PredictabilityThe Measured Black‐White Wage Gap among Women Is Too Small (2004)The Measured Black‐White Wage…Time-varying risk aversion and unexpected inflation (2003)Time-varying risk aversion an…Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Catching Up with the Joneses:…Explaining the Poor Performance of Consumption‐based Asset Pricing Models (2000)Explaining the Poor Performan…Risk premia and term premia in general equilibrium (1999)Risk premia and term premia i…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…The equity premium: A puzzle (1985)The equity premium: A puzzleA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Variance Risk Premium in Equilibrium Models (2023)The Variance Risk Premium in …Asset Prices and Unemployment Fluctuations: A Resolution of the Unemployment Volatility Puzzle (2022)Asset Prices and Unemployment…Reinvestment Risk and the Equity Term Structure (2021)Reinvestment Risk and the Equ…Learning with Rare Disasters (2019)Learning with Rare DisastersAre Stocks Riskier over the Long Run? Taking Cues from Economic Theory (2017)Are Stocks Riskier over the L…The Term Structure of Returns: Facts and Theory (2015)The Term Structure of Returns…Long-run bulls and bears (2015)Long-run bulls and bearsA Credit Spread Puzzle for Reduced-Form Models (2015)A Credit Spread Puzzle for Re…Macroeconomic Drivers of Bond and Equity Risks (2013)Macroeconomic Drivers of Bond…Dynamic Valuation Decomposition Within Stochastic Economies (2012)Dynamic Valuation Decompositi…Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models (2011)Using Long-Run Consumption-Re…Risk-Price Dynamics (2010)Risk-Price DynamicsOn the Timing and Pricing of Dividends (2010)On the Timing and Pricing of …Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns (2009)Habit persistence: Explaining…The Wealth-Consumption Ratio (2008)The Wealth-Consumption RatioFinancial Leverage Does Not Cause the Leverage Effect (2006)Financial Leverage Does Not C…Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing with Stochastic Differential Utility (1992)Robust Permanent Income and Pricing (1999)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Pricing of Options and Corporate Liabilities (1973)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Asset Prices in an Exchange Economy (1978)Tax Policy and Aggregate Demand Management Under Catching Up with the Joneses (2000)Jealousy and Equilibrium Overconsumption (2003)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)On the Timing and Pricing of Dividends (2012)Climate Change and Long-Run Discount Rates: Evidence from Real Estate (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Investor sentiment and the mean–variance relation☆ (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Prospect Theory and Asset Prices (2001)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 1999Risk premia and term premia in general equilibrium593 cited
  • 1989Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth527 cited
  • 2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium506 cited
  • 2004Understanding Predictability456 cited
  • 2002Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices437 cited
  • 2005Rational IPO Waves433 cited
  • 2004The Measured Black‐White Wage Gap among Women Is Too Small329 cited
  • 2003Time-varying risk aversion and unexpected inflation318 cited

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2000
Explaining the Poor Performance of Consumption‐based Asset Pricing Models
313 cited

Cited by

  • 2012Dynamic Valuation Decomposition Within Stochastic Economies131 cited
  • 2010Risk-Price Dynamics77 cited
  • 2021Reinvestment Risk and the Equity Term Structure70 cited
  • 2013Macroeconomic Drivers of Bond and Equity Risks51 cited
  • 2008The Wealth-Consumption Ratio49 cited
  • 2023The Variance Risk Premium in Equilibrium Models35 cited
  • 2015Long-run bulls and bears35 cited
  • 2017Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory35 cited
  • 2009Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns34 cited
  • 2006Financial Leverage Does Not Cause the Leverage Effect34 cited
  • 2015The Term Structure of Returns: Facts and Theory32 cited
  • 2022Asset Prices and Unemployment Fluctuations: A Resolution of the Unemployment Volatility Puzzle30 cited
  • 2019Learning with Rare Disasters28 cited
  • 2011Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models25 cited
  • 2010On the Timing and Pricing of Dividends25 cited
  • 2015A Credit Spread Puzzle for Reduced-Form Models24 cited